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Tail Conditional Expectation for the Multivariate Pareto Distribution of the Second Kind: Another Approach

Raluca Vernic ()
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Raluca Vernic: Ovidius University of Constanta

Methodology and Computing in Applied Probability, 2011, vol. 13, issue 1, 121-137

Abstract: Abstract In risk analysis, the Tail Conditional Expectation (TCE) describes the expected amount of risk that can be experienced given that the risk exceeds a threshold value. Thus, TCE provides an important measure of the right-tail risk. In this paper, we present TCE formulas for the multivariate Pareto distribution of the second kind. Because of the complex form of this distribution, the formulas for the n-variate case are expressed recursively, in terms of the (n − 1)-variate case.

Keywords: Multivariate Pareto distribution of the second kind; Tail conditional expectation; 60E05; 62P05; 91B30 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s11009-009-9131-9

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